Trend-Following Backtester · Guide · backtest 한국어
equity · US
AeroVironment, Inc. backtest
10 trend-following strategies were compared on the full daily history of AeroVironment, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -66.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -62.7%, Sharpe 0.40, 55% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=69, slow=215 |
8.5% | -62.7% | 0.40 | 0.14 | 4.9x | 28 | 55% |
| Donchian 채널 돌파 entryN=35, exitN=20 |
5.2% | -67.4% | 0.32 | 0.08 | 2.7x | 82 | 40% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=2.4 |
5.0% | -52.4% | 0.31 | 0.10 | 2.6x | 82 | 31% |
| Supertrend period=23, mult=5 |
5.1% | -61.2% | 0.31 | 0.08 | 2.6x | 59 | 46% |
| ADX / DI 방향성 period=19, threshold=29 |
3.1% | -37.3% | 0.26 | 0.08 | 1.8x | 56 | 13% |
| 볼린저 밴드 돌파 n=44, k=2.1 |
2.9% | -70.2% | 0.24 | 0.04 | 1.8x | 92 | 32% |
| MACD fast=17, slow=42, signal=17 |
1.3% | -82.1% | 0.20 | 0.02 | 1.3x | 242 | 51% |
| EMA 크로스오버 fast=59, slow=197 |
-0.2% | -76.9% | 0.19 | -0.00 | 1.0x | 36 | 58% |
| ROC 모멘텀 n=122, threshold=0 |
-0.9% | -78.5% | 0.15 | -0.01 | 0.8x | 190 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.3% | -78.9% | 0.09 | -0.03 | 0.6x | 148 | 49% |
| Buy and hold | 9.7% | -66.6% | 0.43 | 0.15 | 6.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 69-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 69-day average falls below the 215-day average